A proxy is a machine or software that does something on behalf of you, the client.
You can also see it as a middle man that sits between you and the server you want to work with, a middle man that you connect to instead of the actual remote server. You ask the proxy to perform your desired operation for you and then it runs off and do that and then it returns the data to you.
There are several different types of proxies and we shall list and discuss them in subsections below.